feat: 量化引擎加固 — 新增测试 + 数据/因子/回测层优化

- 新增 finance/tests/ 6 个测试套件（agents/backtest/dao_upsert/factors/features/fundamental_lookahead）
- 数据层: data_manager / dao 优化，新增 upsert 逻辑
- 因子层: 基本面因子抽象定位 _mapping、ROE/PE/PB 重构
- 回测层: vectorbt/engine 大改动（251 行），report 增强
- ML 层: features/backtest_integration 特征工程与回测优化
- CLI: agent_cli 重构
- config/settings 扩充配置项

finance/optimizer/engine.py

@@ -129,9 +129,13 @@ class OptunaEngine:
 
         n_total = len(price_df)
         windows = []
-        test_equities = []
         param_history = []
 
+        # 跨窗口结转资本：consolidated 是连续可投资的净值曲线，
+        # 每个测试窗口的收益按期初已积累资本放大，而非各自从 100k 独立重算。
+        running_capital = float(self.bt_engine.initial_capital)
+        equity_parts: list[pd.Series] = []
+
         start = 0
         while start + train_window + test_window <= n_total:
             train_slice = slice(start, start + train_window)
@@ -162,8 +166,14 @@ class OptunaEngine:
 
             test_report = self.bt_engine.run(test_strategy, test_price, test_factor)
 
-            if len(test_report.equity_curve) > 0:
-                test_equities.append(test_report.equity_curve)
+            # 该窗口的相对收益 → 用累计资本放大 → 连续资本曲线
+            eq = test_report.equity_curve
+            if eq is not None and len(eq) > 0:
+                window_ret = eq.pct_change().fillna(0.0)
+                # 用上一窗口末累计资本作基准放大本窗口收益
+                window_capital = running_capital * (1 + window_ret).cumprod()
+                equity_parts.append(window_capital)
+                running_capital = float(window_capital.iloc[-1])
 
             train_idx = train_price.index
             test_idx = test_price.index
@@ -182,8 +192,8 @@ class OptunaEngine:
 
             start += test_window
 
-        # 合并测试期权益曲线
-        consolidated = _merge_test_periods(test_equities, self.bt_engine.initial_capital)
+        # 合并测试期权益曲线（跨窗口结转后的连续净值）
+        consolidated = _merge_test_periods(equity_parts)
 
         # 参数稳定性
         param_df = pd.DataFrame(param_history) if param_history else pd.DataFrame()
@@ -198,20 +208,20 @@ class OptunaEngine:
 
 
 def _merge_test_periods(
-    equity_list: list[pd.Series],
-    initial_capital: float = 100_000,
+    equity_parts: list[pd.Series],
 ) -> BacktestReport | None:
-    """拼接各窗口测试期权益曲线为一个连续序列。"""
-    if not equity_list:
+    """拼接已跨窗口结转资本的测试期净值片段为连续序列。"""
+    if not equity_parts:
         return None
 
-    merged = pd.concat(equity_list)
-    merged = merged.sort_index()
-    merged = merged[~merged.index.duplicated()]
+    merged = pd.concat(equity_parts)
+    merged = merged[~merged.index.duplicated(keep="last")].sort_index()
 
     # 确保 DatetimeIndex
     if not isinstance(merged.index, pd.DatetimeIndex):
-        merged.index = pd.to_datetime(merged.index, format="%Y%m%d")
+        parsed = pd.to_datetime(merged.index, format="%Y%m%d", errors="coerce")
+        if parsed.notna().all():
+            merged.index = parsed
 
     dd = merged / merged.cummax() - 1
     daily_ret = merged.pct_change().dropna()